Zobrazeno 1 - 10
of 24
pro vyhledávání: '"Nikolaos Tessaromatis"'
Autor:
Nikolaos Tessaromatis, Vassilis Thomas
Publikováno v:
Investment Management & Financial Innovations, Vol 6, Iss 3 (2009)
Externí odkaz:
https://doaj.org/article/50720d1811434c0cadbfb4fd3a94942b
Publikováno v:
SSRN Electronic Journal.
Long-term country equity premium forecasts based on a cross-sectional global factor model (CS-GFM), where factors represent compensation for risks proxied by valuation and financial variables, are superior, statistically and economically, from foreca
Publikováno v:
European Financial Management. 23:254-291
We develop an analytical solution to the dynamic multi-period portfolio choice problem of an investor with risky liabilities and time varying investment opportunities. We use the model to compare the asset allocation of investors who take liabilities
Autor:
Nikolaos Tessaromatis
Publikováno v:
Quantitative Finance. 18:347-349
The recent financial crisis sparked a debate on the usefulness of the neoclassical economic paradigm to understand and predict financial crises. The depression of the thirties was also a time of re...
Publikováno v:
Journal of Banking & Finance. 37:1759-1776
Mutual fund manager excess performance should be measured relative to their self-reported benchmark rather than the return of a passive portfolio with the same risk characteristics. Ignoring the self-reported benchmark results in different measuremen
Publikováno v:
Journal of Asset Management. 13:310-326
We show there is a term-structure in analysts’ loss preferences on corporate earnings forecast errors. Using the full I/B/E/S database on US corporate earnings, we estimate the loss function of consensus forecasts of each company in four different
Publikováno v:
International Review of Economics & Finance. 18:132-141
The evidence on the inter-temporal relation between idiosyncratic risk and future stock returns is conflicting and confusing. We shed new light on the issue using a more flexible econometric approach based on [Hamilton, J.D. 1989. A new approach to t
Publikováno v:
International Review of Financial Analysis. 17:539-556
The proposition that idiosyncratic volatility may matter in asset pricing is currently a topic of research and controversy. Using data from the UK market we examine the predictive ability of various measures of idiosyncratic risk and provide evidence
Publikováno v:
Applied Financial Economics. 18:125-137
This article examines if idiosyncratic risk can forecast stock returns for 10 European markets. We found little evidence to suggest that idiosyncratic volatility, equally or value weighted, can predict future stock market returns. However, we found t
We provide evidence using data from the G7 countries suggesting that return dispersion may serve as an economic state variable in that it reliably predicts time-variation in economic activity, market returns, the value and momentum premia and market
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ecfe31134d990a2669823d1e7ae64c70
https://eprints.soton.ac.uk/381012/
https://eprints.soton.ac.uk/381012/